This paper focuses on the practice of serial correlation correcting of the Linear Regression Model (LRM) by modeling the error. Simple Monte Carlo experiments are used to demonstrate the following points regarding this practice. First, the common factor restrictions implicitly imposed on the...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...

Part I. Identification and Efficient Estimation: 1. Incredible structural inference Thomas J. Rothenberg; 2. Structural equation models in human behavior genetics Arthur S. Goldberger; 3. Unobserved heterogeneity and estimation of average partial effects Jeffrey M. Wooldridge; 4. On specifying...

The encompassing principle has been carefully and precisely defined in various contexts, since its first appearance in the 1980s literature in numerous papers by Hendry, Mizon and Richard. Since then, several distinct notions of encompassing have been proposed and still coexist in the...

The policy implications of estimated macro-econometric systems depend on the formulations of their equations, the methodology of empirical model selection and evaluation, the techniques of policy analysis, and their forecast performance. Drawing on recent results in the theory of forecasting, we...

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

The unit root revolution in time series modeling has created substantial interest in non-stationarity and its implications for empirical modeling. Beyond the original interest in trend vs.di¤erence non-stationarity, there has been renewed interest in testing and modeling structuralbreaks. The...

Most of empirical modeling involves the use of Ordinary Least Squares regression where the residuals are assumed normal, independent, and identically distributed. In finite samples, these assumptions becomes critical for accurate estimations, however, in macroeconomics in particular, these...

This dissertation is an investigation into the determinants of demand for service contracts on new vehicles. In the first chapter, I characterize the consumer decision to buy a service contract with a discrete choice model. Hypotheses and conjectures are tested empirically using survey data from...

The purpose of this dissertation is to explore the relationship between fertility rates and the economy in Venezuela. In particular, it looks at the extreme fluctuations in oil revenues, Venezuelaâs main source of income, in the 1970s and their impact on fertility. It uses the 1998 National...